Published June 20, 2022
| Version v1
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Short Term Curve Analytics
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Short term curve construction may contain both regular and serial futures contracts that results in a significant amount of underlying term overlapping. The overlapping may lead to widely oscillating Partial Differential Hedge (PDH) numbers. A method, called Time Weighted Quadratic Average, is proposed. The model solves the problem of overlapping short-end input instrument (deposits and futures) terms.
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shortTermCurve.pdf
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